The first critical point is to classify the caravan. This is something you have to step outside of politics for, for a minute. This caravan had already illegally broken past the border between Guatemala and Mexico. [1] There's every reason to believe they planned to attempt similar behavior at the US border. This is the definition of criminal conspiracy.
In this case it would likely have also been a politically destabilizing event in the US. You would have had far right vigilantes work to 'apprehend' the trespassing individuals which likely would spark 'anti-vigilante' action from far left individuals. Violence would have been inevitable due to the fact you have loonies on both ends meeting up with emotions flaring high. This could have been an organic action, but it could also have been driven by actors who would benefit from such instability.
In any case it would be absolutely remiss for the government to not investigate the funding, composition, and other aspects of the caravan. And on this front the journalists were/are not only witnesses but witnesses with video, photographic, and audio evidence as well as first person accounts. Like the article states, "[The investigators] said that I [journalist] was on the ground and they’re not, which I thought was really interesting.". The really important question is whether the investigation has gone from investigation to intimidation, which would be an issue.
So is the government doing their due diligence, or are they intimidating journalists? Perhaps it's even a bit of both. But I don't think this article is enough evidence to really determine one way or the other and so I think the wisest course of action would be to await further information.
[1] - https://www.latimes.com/world/mexico-americas/la-fg-mexico-m...